Here's links to a couple of useful Youtube videos to show you how.
One thing of note. When lacing a corset, be sure the space between the back lacing holes (bar) is relatively equal along the vertical edges. Often people (including me at first) will try to lace the corset tightly according to the body area: waist, chest, hips. What ends up happening is a torque effect on the boning and steel parts which can twist or warp them. While it does put you snugly in your corset, it's not comfortable over time and can damage the corset. The fabric is cut to fit your shape so lace up correctly and let the corset do it's job. Corsets are like shoes in that they do change with use to fit you, just as you change to fit it. I think it's nice to think of it in a partnership kind of way.